Linear Kalman-Bucy filter with vector autoregressive signal and noise

DOI10.1134/S1063454121010118zbMath1479.94073OpenAlexW4285543911MaRDI QIDQ2038522

Tatiana M. Tovstik

Publication date: 7 July 2021

Published in: Vestnik St. Petersburg University. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s1063454121010118

zbMATH Keywords

Kalman-Bucy filtervector autoregressive stationary process of high order

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Extending the theory of Liptser-Shiryaev filters
• Optimal convergence rate of the randomized algorithms of stochastic approximation in arbitrary noise
• Linear generalized Kalman-Bucy filters
• Linear Kalman-Bucy filter with autoregressive signal and noise
• Data Assimilation
• Kalman Filtering

This page was built for publication: Linear Kalman-Bucy filter with vector autoregressive signal and noise